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A quantitative approach to Faber's tactical asset allocation

A quantitative approach to Faber's tactical asset allocation Routinely, practitioners and academics alike propose the use of trading strategies with an alleged improvement on the risk–return relation, typically entailing a considerably higher return for the given level of risk. A very popular example is "A quantitative approach to tactical asset allocation" by the fund manager M. Faber, a real hit in the SSRN online library. Is this paper a counterexample to market efficiency? We reject this conclusion, showing that a lot of caution should be used in this field, and we indicate a series of bootstrapping experiments which can be easily implemented to evaluate the performance of trading strategies. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Computational Economics and Econometrics Inderscience Publishers

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Publisher
Inderscience Publishers
Copyright
Copyright © Inderscience Enterprises Ltd. All rights reserved
ISSN
1757-1170
eISSN
1757-1189
DOI
10.1504/IJCEE.2013.056268
Publisher site
See Article on Publisher Site

Abstract

Routinely, practitioners and academics alike propose the use of trading strategies with an alleged improvement on the risk–return relation, typically entailing a considerably higher return for the given level of risk. A very popular example is "A quantitative approach to tactical asset allocation" by the fund manager M. Faber, a real hit in the SSRN online library. Is this paper a counterexample to market efficiency? We reject this conclusion, showing that a lot of caution should be used in this field, and we indicate a series of bootstrapping experiments which can be easily implemented to evaluate the performance of trading strategies.

Journal

International Journal of Computational Economics and EconometricsInderscience Publishers

Published: Jan 1, 2013

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